Applied Mathematics and Optimization, Vol.71, No.2, 313-351, 2015
Robust Utility Maximization Under Convex Portfolio Constraints
We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption-investment strategy by studying the associated quadratic backward stochastic differential equation. We characterize the optimal control by using the duality method and deriving a dynamic maximum principle.
Keywords:Utility maximization;Backward stochastic differential equations;Recursive utility;Model uncertainty;Robust control;Maximum principle;Forward-backward system